New
#11
Your downloads folder should still be onboard then if you haven't emptied your Recycle Bin - otherwise it would have prompted you to approve deleting a folder which is too large for the Recycle Bin.
Look in C under your User Name to see if the Downloads folder is there. If not type Downloads in Start Search box to see where it might have been moved by rightclicking result to look at Properties location.
The error you got may only mean the Downloads favorite shortcut has lost it's default association, which can be fixed by restoring the association for LNK files here: Default File Type Associations - Restore